Whisk all the chili sauce ingredients in a small bowl. Cover with plastic wrap and refrigerate until ready to use.
Preheat the oven to 400F and line a large baking tray with parchment paper. Peel and devein the shrimps with tails left on.
Wash thoroughly and pat the excess moisture with a paper towel. Now set up three dipping stations, in a mixing bowl, whisk egg until frothy.
On a large plate, combine flour, garlic powder, onion powder, and salt; mix well and set aside.
In another shallow bowl, place shredded coconut and panko bread crumbs, mix well and set aside. Dredge the shrimps into the flour, shaking off any excess.
Next holding the shrimp by the tail, dunk the shrimps into the beaten egg and then immediately into coconut and bread crumbs mixture, gently pat with your hands to coat well.
Place the coated shrimp in the prepared baking tray with the olive oil spray and bake for about 12 minutes, or until crispy and lightly golden.
Serve the crispy shrimps with sweet chili sauce and lime wedges.